Bug #6121 was assigned in 10/2000 and I have seen no updates to it of any kind. I just wanted to let you know that the problem still exists in PHP 4.0.6.
If you use a header("Location:URL") to redirect (as I do often), the SID is not transparently attached to the URL. This doesn't seem like it would be too difficult to fix. In the mean time I have written wrapper functions to handle this problem but it IS quite annoying. =)